Holy cow, I wrote a book!
Beware the Image File Execution Options key (more). Its power can be used for evil as well as for good.
Its intended use is to force a program to run under a debugger regardless of how it is launched (and secondarily to alter how the system treats the program). It's handy if you need to debug a program "in the wild" rather than under the controlled environment of your favorite IDE. For example, you can use it if you want to debug how a program runs when it is launched by some other program you can't debug.
Two things people often forget:
Evil can be done with the Image File Execution Options key. Malware can install themselves as the "debugger" for a frequently-run program (such as Explorer) and thereby inject themselves into the execution sequence.
Note that the ability to use the Image File Execution Options key for evil purposes is not a security hole. To modify the key in the first place requires administrator permissions. Consequently, anybody who can exploit this feature already owns your machine.